Time series analysis of the US term structure of interest rates using a Bayesian Markov switching cointegration model
Katsuhiro Sugita
| Year of publication: |
March 2017
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|---|---|
| Authors: | Sugita, Katsuhiro |
| Published in: |
International journal of economics and finance. - Toronto, ISSN 1916-971X, ZDB-ID 2531850-0. - Vol. 9.2017, 3, p. 49-56
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| Subject: | Bayesian | cointegration | markov-switching | term structure | expectations hypothesis | Zinsstruktur | Yield curve | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | Markov-Kette | Markov chain | Bayes-Statistik | Bayesian inference | Theorie | Theory | USA | United States | Schätzung | Estimation | VAR-Modell | VAR model | Erwartungsbildung | Expectation formation |